Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0564
Annualized Std Dev 0.1984
Annualized Sharpe (Rf=0%) 0.2844

Row

Daily Return Statistics

Close
Observations 5233.0000
NAs 1.0000
Minimum -0.1267
Quartile 1 -0.0047
Median 0.0007
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0060
Maximum 0.1043
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0125
Skewness -0.2492
Kurtosis 10.3523

Downside Risk

Close
Semi Deviation 0.0091
Gain Deviation 0.0089
Loss Deviation 0.0100
Downside Deviation (MAR=210%) 0.0137
Downside Deviation (Rf=0%) 0.0089
Downside Deviation (0%) 0.0089
Maximum Drawdown 0.5666
Historical VaR (95%) -0.0191
Historical ES (95%) -0.0303
Modified VaR (95%) -0.0185
Modified ES (95%) -0.0306
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2013-02-08 -0.5666 1343 355 988
2000-09-05 2002-10-09 2007-02-07 -0.4898 1614 525 1089
2020-02-20 2020-03-23 2020-08-21 -0.3522 129 23 106
2018-09-21 2018-12-24 2019-07-02 -0.2094 195 65 130
2015-06-24 2016-02-11 2016-07-20 -0.1647 271 161 110

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA 0.3 -0.4 0.3 0.1 -0.7 -0.3 0.2 -1.5 -1.9
2001 -0.3 0.4 0.8 1.3 0.6 1 0 0.5 -0.6 2 -0.2 -0.9 4.6
2002 -0.3 2.3 0.1 0.9 0.1 -1.9 -2.2 -0.4 4.1 1.8 -0.4 0.2 4
2003 1.3 0.6 1 0 1.9 1 -1.1 0.2 2.1 0.3 1.1 -0.1 8.6
2004 -0.2 1 0.6 -0.8 0.1 -1.2 0.4 0.3 1.3 0.2 1.4 -0.2 3
2005 0.9 0.5 -0.6 1 0.8 0.6 0.2 0.1 0.6 -0.1 1.2 -0.4 5
2006 0.5 0.9 0 -0.7 1.2 0 -0.7 0.4 -0.2 -0.8 -0.1 -0.4 0.1
2007 0.6 -0.4 0.2 0.2 0.3 -0.1 0.3 1.1 1.3 -2.7 0.8 -0.8 0.8
2008 1.6 -2.5 3.4 1.7 0.1 0.3 -0.4 -1.2 -1.7 2 -9.1 1.7 -4.6
2009 -2.3 -2.1 2 0.5 2.7 0.4 0.1 -2.2 -2.6 -2.8 1.1 -1 -6.2
2010 1.6 1.2 0.9 -1.8 -2 -0.4 0 3 0.5 -0.1 2.3 -0.1 5
2011 1.7 -1.7 0.6 0.3 -2.3 1.5 -0.2 -1.2 -2.3 -2.8 -0.1 -0.4 -7
2012 1 0.7 0.2 0.5 -2.7 2.7 -0.4 0.4 0.3 1.2 -0.1 1.9 5.8
2013 1 0.4 -0.6 -1 -1.3 0.2 1.2 -0.5 0.8 0.2 -0.3 0.3 0.3
2014 -0.6 0.1 0.9 0 0.1 0.7 -0.2 0.4 -1.3 1.2 -0.8 -1 -0.6
2015 -1.3 -0.4 -0.2 1 0.2 0.7 -0.1 -3 0.2 -0.4 0.9 -0.9 -3.3
2016 0 2.3 0.6 -0.9 0.2 0.2 -0.1 0 0.8 -0.7 -0.5 -0.4 1.4
2017 0 1.4 -0.2 0.2 0.9 0.1 0.2 0.3 0.3 0.1 -0.2 -0.4 2.8
2018 0 -1.2 1.4 0.3 1 0.1 -0.1 0 0.2 1.1 0.7 0.9 4.4
2019 0.2 0.7 1.2 -0.7 -1.3 0.8 -0.9 0 -1.3 1 -0.4 0.2 -0.4
2020 -1.8 -0.9 -4.7 -2.7 0.6 0.5 0.6 1 0.9 -1.2 1.1 0.4 -6.2
2021 1.8 2.5 -0.1 NA NA NA NA NA NA NA NA NA 4.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-05-26  75.3 SPY    138   0.0011  -0.0221  -0.0548   0.0138   0.0599       NA       NA <NA>     NA    NA       NA
2 2000-05-30  77.4 SPY    143.  0.0342   0.019   -0.0164   0.0384   0.1          NA       NA <NA>     NA    NA       NA
3 2000-05-31  78.3 SPY    143.  0.0007   0.0349  -0.0289   0.0316   0.0996       NA       NA <NA>     NA    NA       NA
4 2000-06-01  78.5 SPY    145.  0.0175   0.0361   0.0082   0.049    0.113        NA       NA <NA>     NA    NA       NA
5 2000-06-02  81.0 SPY    148.  0.0174   0.0725   0.0439   0.0476   0.110        NA       NA <NA>     NA    NA       NA
6 2000-06-05  80.6 SPY    147. -0.0049   0.0661   0.0375   0.0523   0.102        NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart